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Markouts Lab

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Per-swap markout PnL across V3 and V4 ETH/USDC pools, benchmarked against Binance ETH/USDC spot at 1-second resolution. The markout is computed as eth_delta × (ref_price(t+Δ) − swap_price), where swap_price is taken from the Swap event and already includes the LP fee. So the markout is net of fees: positive = LP's fee revenue exceeded LVR over that horizon; negative = LVR exceeded fees (LP lost net). Horizons: 0 = at swap block, 1blk = +12s, 1m / 5m / 60m = at swap block + delta.
PoolSwapsVolumeMO @0MO @1blkMO @1mMO @5mMO @60mMarkout Intensity @1mMO vs Fees Coverage @1m
ETH/USDC 0.05% V31,083,031$22.05B$-2.77M$-3.92M$-3.84M$-3.68M$-3.32M-1.74 bps-34.8%
ETH/USDC 0.01% V32,699,408$4.73B$361.9K$304.0K$303.7K$304.3K$301.3K+0.64 bps+64.2%
ETH/USDC 0.30% V3119,856$1.42B$193.6K$71.3K$130.8K$127.6K$121.0K+0.92 bps+3.1%
ETH/USDC 0.05% V4389,254$856.71M$-124.3K$-167.9K$-162.6K$-153.5K$-134.6K-1.90 bps-37.9%
ETH/USDC 0.30% V487,313$838.09M$-186.0K$-216.8K$-190.3K$-209.7K$-236.5K-2.27 bps-7.6%
ETH/USDC 0.01% V4888,511$836.57M$23.7K$12.0K$12.2K$11.7K$9.9K+0.15 bps+14.6%

Cumulative Markout PnL — ETH/USDC 0.30% V4 (365d)